Credit derivatives: just-in-time provisioning for loan losses
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References listed on IDEAS
- Eli M. Remolona & William F. Bassett & In Sun Geoum, 1996. "Risk management by structured derivative product companies," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 17-37.
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- Larry D. Wall & Milind M. Shrikhande, 2000. "Managing the risk of loans with basis risk: sell, hedge, or do nothing?," FRB Atlanta Working Paper 2000-25, Federal Reserve Bank of Atlanta.
- Drobetz, Wolfgang & Erdmann, Thomas & Zimmermann, Heinz, 2007. "Predictability in the cross-section of European bank stock returns," Working papers 2007/21, Faculty of Business and Economics - University of Basel.
- Jacques, Kevin T., 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, Elsevier, vol. 17(2), pages 79-91.
- Cavallo, Michele & Majnoni, Giovanni, 2001. "Do Banks provision for bad loans in good times? empirical evidence and policy implications," Policy Research Working Paper Series 2619, The World Bank.
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KeywordsCredit ; Derivative securities ; Contracts ; Risk;
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